One of the limitations of SQL express is that:


 

SQL Server express support up to 4 cores in the SAME socket”


 

Therefore how you define the CPU resources for the VM running SQL Express matters a lot.


 

The Default is typically:


 


 

This will result in SQL Express only using 1 core of the machine.


 

Instead configure it like this:


 


 

Then all 4 cores will be used.